This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Autoregression and New Keynesian models demonstrating how financial shocks can have a large and sluggish impact on the economy. I identify the default risk and the maturity mismatch channels of monetary policy transmission; I further employ a generalized-IRF to establish countercyclicality of risk spreads; and I show that the maturity mismatch shocks produce a stronger impact than the default risk shocks.
To view this DRM protected ebook on your desktop or laptop you will need to have Adobe Digital Editions installed. It is a free software. We also strongly recommend that you sign up for an AdobeID at the Adobe website. For more details please see FAQ 1&2. To view this ebook on an iPhone, iPad or Android mobile device you will need the Adobe Digital Editions app, or BlueFire Reader or Txtr app. These are free, too. For more details see this article.
|Size: ||2.7 MB|
|Publisher: ||INTERNATIONAL MONETARY FUND|
|Date published: || 2014|
|ISBN: ||9781498349369 (DRM-EPUB)|
|Read Aloud: ||not allowed|